Everything you ever wanted to know about Roman candles, including how to make your own, in in this article at Confession of a Fireworks Man.

I once made the mistake of thinking I could hold a one-inch display candle in my hand as it fired. The first shot propelled a star skyward, and the rest of the candle backward out of my hand to who-knew-where. I had to quickly find it and stabilize it with my foot as it finished firing. I still haven't lived that down in my local fireworks guild. I don't recommend you try any similar stunts.

With these larger Roman candles, it's best to tape them to a stake and firmly secure them to the ground before ignition.